Switch between modes
I believe that the issue is arising from either one of the situations below.

1) When you switch to Sculpt mode, the sculpting tools will only act on the previously selected object. Switch back to the Layout mode and make sure that you've got the sculpting object selected.

2) Your object may not have enough geometry to be sculpted on since the sculpting brushes act by moving the existing vertices of the object. So if you are attempting to sculpt on the default cube, for example, the brushes only have the eight corners to work with. You can add more geometry to the object by subdividing it. Alternatively, you can enable Dyntopo located in the header bar while in sculpting mode. This will add additional geometry as you work.